The Multivariate MF2 Realized GARCH Model

Anne Opschoor, Michael Stollenwerk
May, 2022

Abstract

We extend the MF2 GARCH model by Engle and Conrad (2022) to a multivariate setting and use high-frequency based realized covariance matrices instead of daily data.

Type
Preprint
Realized Covariance Matrices Time-Series Models
Michael Stollenwerk
Michael Stollenwerk
Investment Risk Analyst

Investment Risk Analyst; enhancing the decisions of investment teams by providing quantitative analyses.